A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models

Carl Chiarella, Mark Craddock and Nadima El-Hassan ()

No 261, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: Inverse Problems; Calibration; Integral Equations; Fundamental Solutions of PDE (search for similar items in EconPapers)
JEL-codes: C61 D11 (search for similar items in EconPapers)
Date: 2002-07-01
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